The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures

zbMath1118.60052MaRDI QIDQ2372385

Tu-Sheng Zhang, Bernt Øksendal

Publication date: 26 July 2007

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ojm/1174324333

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57)

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Cites Work

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• Forward, backward and symmetric stochastic integration
• Processes of normal inverse Gaussian type
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• On the existence of smooth densities for jump processes
• A pathwise approach to backward and forward stochastic differential equations on the poisson space^*
• On Extended Stochastic Intervals
• Anticipative calculus for Lévy processes and stochastic differential equations^*

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